Job Title: Risk Methodology Analyst, AS

Location: Mumbai, India

Corporate Title: AS

Role Description

• The FRTB Strategic Production function within Group Strategic Analytics is principally responsible for daily analysis and control of various risk metrics. The role involves analysis of Standardised Approach Charge, Default Risk Charge and Risk Theoretical PnL for FRTB regulations. You will work with FO Developers, FO quants, Market Risk Managers, Risk Methodology experts to enable accurate risk measurement and help set up process for BAU implementation. This role also involves performing controls and checks to ensure completeness and accuracy of risk matrices. The role requires application of qualitative and quantitative techniques to analyse the data and a deep understanding of FRTB regulation.

What we’ll offer you

As part of our flexible scheme, here are just some of the benefits that you’ll enjoy

• Best in class leave policy
• Gender neutral parental leaves
• 100% reimbursement under childcare assistance benefit (gender neutral)
• Sponsorship for Industry relevant certifications and education
• Employee Assistance Program for you and your family members
• Comprehensive Hospitalization Insurance for you and your dependents
• Accident and Term life Insurance
• Complementary Health screening for 35 yrs. and above

Your key responsibilities

• Run all process and controls to check completeness, accuracy and timeliness for FRTB SA, DRC and RTPL numbers
• Finalize SA charge for respective businesses and at DB Group level and explain Day on Day, Week on Week and Month on Month drivers
• Identifies and remediates all Exceptions that are not being consumed in SA, DRC and RTPL – both at individual Asset Class level and at DB Group level
• Provide analytical support to Risk Managers and FO Strats to facilitate risk management / business decisions.
• Contribute to methodological enhancements, including quantitative impact analysis
• Contribute to UI enhancements to improve the user experience and efficiency of the existing tools.
• Applying experience and subject matter expertise to perform Run-the-bank tasks such as SA charge impact analysis for methodology as well as continuous improvement of processes and controls.
• Liaising with FO Developers, FO quant, Market risk managers, Change teams and Methodology to perform deep dives on data challenges in new market risk models/methodology changes/RNIV and implementation of new regulations such as FRTB
• Help specify requirements and test functionality for new feed set up, processes and ability to coordinate with Strats, FO and Risk Technology for seamless implementation of new data requirements and process enhancements

Your skills and experience

• A strong, relevant background and 5 years of experience working in an international Bank or comparable experience
• Knowledge of FRTB SA / IMA regulations for market risk capital charge calculation is mandatory for the role
• Good product knowledge of derivatives and pricing in at least one asset class – Equity, Credit, Rates, FX, Commodities.
• Market risk, Middle office, Valuations or Product control background with relevant subject matter expertise in one of the three disciplines
• Understanding of VaR methodologies – monte-carlo and historical simulation
• MFE/MBA in Finance or relevant experience with Engineering, finance or quantitative/statistics background
• Good understanding of statistical distributions
• Excellent Communication skills and attention to detail
• Strong analytical, problem solving and critical thinking skills
• Advanced Excel and VBA skills
• A track record of working in a CTB (Projects) and RTB (Production) environment simultaneously
• Knowledge of languages such as R / Python / SQL preferred
• Certification such as FRM or CFA is preferred

How we’ll support you

• Training and development to help you excel in your career
• Coaching and support from experts in your team
• A culture of continuous learning to aid progression
• A range of flexible benefits that you can tailor to suit your needs

About us and our teams

Please visit our company website for further information:

https://www.db.com/company/company.html

We strive for a culture in which we are empowered to excel together every day. This includes acting responsibly, thinking commercially, taking initiative and working collaboratively.

Together we share and celebrate the successes of our people. Together we are Deutsche Bank Group.

We welcome applications from all people and promote a positive, fair and inclusive work environment.